# Weekly Seminars

**2011–2012**

##### Abstract

October 27, 2011

## Multiperiod Corporate Default Prediction — A Forward Inten tity Approach

*Jin-Chuan Duan **National University of Singapore, Risk Management Institute*

##### Abstract

##### Abstract

November 7, 2011

## The Role of Mathematics in Financial Engineering

*Pierre-Louis Lions Ecole Polytechnique Collège de France*

November 10, 2011

## The Leverage Effect Puzzle: Disentangling Sources of Bias in High Frequency Inference

*Yacine Aït-Sahalia **Princeton University*

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November 10, 2011

## Complex Trading Mechanisms

*Patricia Lassus geodesiXs*

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November 11, 2011

## Searching for Outperformance: Myth or Reality?

*Olivier Scaillet Swiss Finance Institute Université de Genève*

November 22, 2011

### On Trivial and Non-trivial Optimal Barrier Solutions of the Dividend Problem for a Diffusion under Constant and Proportional Transaction Cost

*Lihua Bai Nankai University*

December 1, 2011

### Implied Volatility Smirk under Asymmetric Dynamics

##### Abstract

January 19, 2012

## About Microstructure Noise: A Statistical Approach

*Jean Jacod Université Paris VI*

February 2, 2012

## On volatility matrix estimation in a multivariate semimartingale model with microstrutcure noise

*Markus Bibinger Humboldt-Universität zu Berlin*

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February 9, 2012

## The Estimation of Leverage effect with High Frequency Data

*D. Christina Wang The University of Chicago*

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March 8, 2012

## Parametric Inference, Testing and Dynamic State Recovery from Option Panels with Fixed Time Span

*Viktor Todorov Northwestern University*

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April 5, 2012

## Mixed Frequency Vector Autoregresive Models

*Eric Ghysels University of North Carolina at Chapel Hill *

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April 20 – 22, 2012

## Workshop on Functional Programming in Quantitative Finance

Organizer: Niels Nygaard

May 3 and 4, 2012

## Conference on Asymptotics in Finance

Organizers: Henri Berestycki and Roger Lee

May 10, 2012

## Conference on Macroeconomic Fragility

Organized by Becker Friedman Institute

May 11, 2012

## Time Stepping and Numerical Sensitivity Analysis for SDE

Jonathan Goodman New York University, Courant Institute of Mathematical Sciences

##### Abstract

May 17, 2012

## On Some Conformally Invariant Fully Nonlinear Equations

Yanyan Li

May 24, 2012

## Realized Copula

Ostap Okhrin Humboldt-Universität zu Berlin

##### Abstract

June 4 – 6, 2012

## Conference on Matching Problems: Economics meets Mathematics

(Joint with the Becker Friedman Institute)

Organizers: Robert McCann, Pierre-Andre Chiappori, Scott Duke Kominers